Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 6 6 5
Score -0.03 -0.3 -0.3
Market Cap (Millions USD) 50114.39 49428.76 48567.27
Predicted Beta 2.06 2.11 2.09
Idiosyncratic Volatility 1.95 3.33 3.78

Annualized return and volatility

IJH
Annualized Return 0.0925
Annualized Std Dev 0.2028
Annualized Sharpe (Rf=0%) 0.4559

Row

Daily Return Statistics

IJH
Observations 5010.0000
NAs 104.0000
Minimum -0.1043
Quartile 1 -0.0056
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0004
Quartile 3 0.0069
Maximum 0.1063
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0128
Skewness -0.1511
Kurtosis 6.6669

Downside Risk

IJH
Semi Deviation 0.0092
Gain Deviation 0.0088
Loss Deviation 0.0097
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0090
Downside Deviation (0%) 0.0090
Maximum Drawdown 0.5506
Historical VaR (95%) -0.0200
Historical ES (95%) -0.0301
Modified VaR (95%) -0.0194
Modified ES (95%) -0.0328
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2010-12-02 -0.5506 899 455 444
2002-04-18 2002-10-09 2003-10-13 -0.3194 384 124 260
2011-05-02 2011-10-03 2012-03-19 -0.2616 225 109 116
2000-09-08 2001-09-21 2002-03-19 -0.2564 387 263 124
2018-08-30 2018-12-24 2019-11-25 -0.2314 317 82 235

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IJH
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA 1.8 0.0 0.4 0.9 0.0 0.4 1.4 0 5.0
2001 -0.1 0.1 0.0 0.9 1.3 0.0 0.9 0.0 -2.1 1.5 0.0 0 2.5
2002 -0.4 2.4 0.2 0.2 0.0 -2.3 -2.2 0.0 1.8 1.7 0.0 0 1.4
2003 0.0 0.0 0.5 0.1 0.0 0.7 -0.8 0.0 2.4 0.0 1.5 0 4.4
2004 0.0 1.7 0.6 0.0 0.6 -1.3 0.0 0.5 1.3 0.2 1.1 0 4.7
2005 0.8 1.0 -0.1 0.0 0.9 0.9 -0.1 -0.5 0.0 1.0 1.4 0 5.3
2006 0.6 1.4 0.0 -0.5 1.4 0.0 -0.6 0.6 0.0 -1.6 -0.1 0 1.2
2007 0.9 -0.3 0.0 0.3 0.6 0.0 0.7 0.0 1.1 -2.3 0.0 0 0.9
2008 2.3 0.0 3.1 1.4 0.0 0.2 -0.4 0.0 -0.8 0.0 -10.4 0 -5.2
2009 0.0 0.0 1.5 -0.1 3.3 0.9 0.0 -2.0 -3.1 0.0 1.4 0 1.8
2010 1.5 1.8 1.1 0.0 -2.7 -0.8 0.0 3.4 0.2 -0.1 2.0 0 6.4
2011 1.5 -1.6 0.7 0.0 -2.5 1.7 -0.5 -1.6 0.0 -3.1 -0.6 0 -5.9
2012 2.0 0.9 0.0 0.5 -3.0 0.0 -0.9 0.0 -0.4 2.4 0.0 0 1.5
2013 0.8 -0.2 -1.0 -1.8 0.0 1.3 2.0 0.0 1.3 0.2 0.0 0 2.7
2014 0.0 0.0 0.9 0.2 0.0 0.8 0.0 0.0 -1.3 0.0 -1.3 0 -0.8
2015 0.0 0.0 -0.3 0.8 0.2 0.3 0.0 -2.8 -0.2 0.0 0.8 0 -1.4
2016 -0.1 2.2 0.5 0.0 0.4 0.2 -0.3 0.0 0.0 -1.1 -0.2 0 1.7
2017 -0.3 1.7 0.0 0.4 1.6 0.0 0.3 0.4 0.0 -0.2 -0.2 0 3.6
2018 0.2 -0.3 0.0 0.4 0.6 0.0 -0.3 0.0 -0.8 2.0 0.0 0 1.8
2019 0.3 0.8 1.4 -1.1 0.0 0.3 -1.6 0.0 -1.9 1.5 0.0 0 -0.4

Row

Rolling Performance Chart

Snail Trail Chart